Theory and Applications of Robust Optimization

In this paper we survey the primary research, both theoretical and applied, in the area of Robust Optimization (RO). Our focus is on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying prominent theoretical results of RO, we also present some recent results linking RO to adaptable models for multi-stage decision-making problems. Finally, we highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.Comment: 50 page

The Component Packaging Problem: A Vehicle for the Development of Multidisciplinary Design and Analysis Methodologies

This report summarizes academic research which has resulted in an increased appreciation for multidisciplinary efforts among our students, colleagues and administrators. It has also generated a number of research ideas that emerged from the interaction between disciplines. Overall, 17 undergraduate students and 16 graduate students benefited directly from the NASA grant: an additional 11 graduate students were impacted and participated without financial support from NASA. The work resulted in 16 theses (with 7 to be completed in the near future), 67 papers or reports mostly published in 8 journals and/or presented at various conferences (a total of 83 papers, presentations and reports published based on NASA inspired or supported work). In addition, the faculty and students presented related work at many meetings, and continuing work has been proposed to NSF, the Army, Industry and other state and federal institutions to continue efforts in the direction of multidisciplinary and recently multi-objective design and analysis. The specific problem addressed is component packing which was solved as a multi-objective problem using iterative genetic algorithms and decomposition. Further testing and refinement of the methodology developed is presently under investigation. Teaming issues research and classes resulted in the publication of a web site, (http://design.eng.clemson.edu/psych4991) which provides pointers and techniques to interested parties. Specific advantages of using iterative genetic algorithms, hurdles faced and resolved, and institutional difficulties associated with multi-discipline teaming are described in some detail

Convex relaxation of mixture regression with efficient algorithms

We develop a convex relaxation of maximum a posteriori estimation of a mixture of regression models. Although our relaxation involves a semidefinite matrix variable, we reformulate the problem to eliminate the need for general semidefinite programming. In particular, we provide two reformulations that admit fast algorithms. The first is a max-min spectral reformulation exploiting quasi-Newton descent. The second is a min-min reformulation consisting of fast alternating steps of closed-form updates. We evaluate the methods against Expectation-Maximization in a real problem of motion segmentation from video data

Optimization and Applications

[no abstract available